Relevant bibliographies by topics / Capital market model

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Capital market model'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Capital market model"

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Santosa, Budi. "INTEGRASI PASAR MODAL KAWASAN CINA - ASEAN." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 14, no. 1 (2013): 78. http://dx.doi.org/10.23917/jep.v14i1.162.

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This study aims to analyze the level of capital market integration ASEAN and China. Analysis tool used is Vector Error Correction Model (VECM). The results showed that capital markets of Malaysia, Philippines, Singapore, Thailand, and China have a positive effect on Indonesian capital markets, but the Indonesian capital market does not affect the capital markets of other countries. Singapore capital market has a positive effect on capital markets of Indonesia, Malaysia, Thailand, and China, except for the Philippines. China's capital market only affects the capital market in Singapore. Singapo
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Evstigneeva, L., and R. Evstigneev. "Metamorphoses of Financial Capital." Voprosy Ekonomiki, no. 8 (August 20, 2013): 106–22. http://dx.doi.org/10.32609/0042-8736-2013-8-106-122.

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Financial capital is considered as a precondition of forming an integral market system. Based on financial capital a vertical market model is taking shape. It includes the following leading markets: strategic markets of financial capital, finance and money markets, markets of physical (cluster) capital, markets of social (consumers) capital. Markets of financial capital build the world reproduction model of synergetic character. Sustainability of the world market is maintained within the framework of the following types of big financial capital systems: cooperation of industrial and banking ca
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Khudoykulov, Khurshid. "Verifying capital asset pricing model in Greek capital market." International Journal of Economics and Accounting 7, no. 1 (2016): 55. http://dx.doi.org/10.1504/ijea.2016.076749.

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Sehrawat, Neeraj, Amit Kumar, Narander Kumar Nigam, Kirtivardhan Singh, and Khushi Goyal. "Test of capital market integration using Fama-French three-factor model: empirical evidence from India." Investment Management and Financial Innovations 17, no. 2 (2020): 113–27. http://dx.doi.org/10.21511/imfi.17(2).2020.10.

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Integration or segmentation of markets determines whether substantial advantages in risk reduction can be attained through portfolio diversification in foreign securities. In an integrated market, investors face risk from country-specific factors and factors, which are common to all countries, but price only the later, as country-specific risk is diversifiable. The aim of this study is two-fold, firstly, investigating the superiority of the Fama-French three-factor model over Capital Asset Pricing Model (CAPM) and later using the superior model to test for integration of Indian and US equity m
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Manjunatha, T., and T. Mallikarjunappa. "Bivariate Analysis of Capital Asset Pricing Model in Indian Capital Market." Vikalpa: The Journal for Decision Makers 34, no. 1 (2009): 47–60. http://dx.doi.org/10.1177/0256090920090104.

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Capital Asset Pricing Model (CAPM) establishes the relationship between risks and returns in the efficient capital markets. A review of studies conducted for various markets in the world reveals that researchers have used a number of methodologies to test the validity of CAPM. While some studies have supported the validity of CAPM, some others have revealed that beta alone is not a suitable determinant of asset pricing and that a number of other factors could explain the cross-section of returns. This paper has attempted to test the validity of the combination effect of the two parameter CAPM
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Paskaleva, Mariya, and Ani Stoykova. "GLOBALIZATION EFFECTS ON CONTAGION RISKS IN FINANCIAL MARKETS." Ekonomicko-manazerske spektrum 15, no. 1 (2020): 38–54. http://dx.doi.org/10.26552/ems.2021.1.38-54.

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Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis also caused massive stock price volatility due in part to global availability of market information. We explore ten EU member states (France, Germany, the United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, and Spain), and the USA. The explored period is March 3, 2003 to June 30, 2016, and includes the effects of the global financial crisis of 2008. The purpose of the article is to determine whether there is a contagion effect between th
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Matisone, Anita, and Natalja Lace. "Effective Venture Capital Market Development Concept." Journal of Open Innovation: Technology, Market, and Complexity 7, no. 4 (2021): 218. http://dx.doi.org/10.3390/joitmc7040218.

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This paper presents the results of the study on the venture capital (VC) market development drivers in small countries with underdeveloped VC markets. Based on the literature content analysis, the authors developed a comprehensive list of factors influencing VC market status. The relevance of the factors in countries with small, underdeveloped VC markets was studied between experts involved in shaping Latvian VC market. The study revealed that all factors (in total 73) delivered from the literature influence the VC market in the countries such as Latvia. Sixty-three factors have an impact abov
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Rokan, Mustapa Khamal. "State Role Model in Regulating Market in Indonesia on Islamic Perspective." Ijtimā'iyya: Journal of Muslim Society Research 1, no. 1 (2016): 37–62. http://dx.doi.org/10.24090/ijtimaiyya.v1i1.926.

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Background of this research is the traditional market alienation due to unbalance compete with modern market on the retail market in Indonesia. Limited capital, business management simple and limited networks make traditional markets are not able to compete with the modern market. This research use qualitative methods and use a case-based approach (statute approach) the Commission’s decision number 09/KPPU-L/2005 and the Commission’s Decision No. 03/ KPPU-LI /2000 and history approach, the history of the market Prophet Muhammad’s time and during the time of the Islamic empire. In addition, thi
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Osu, Bright O. "A Stochastic Model of the Variation of the Capital market Price." International Journal of Trade, Economics and Finance 1, no. 3 (2010): 297–302. http://dx.doi.org/10.7763/ijtef.2010.v1.53.

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Paskaleva, Mariya, and Ani Stoykova. "Globalization Effects on Contagion Risks in Financial Markets." SHS Web of Conferences 92 (2021): 03021. http://dx.doi.org/10.1051/shsconf/20219203021.

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Research background: Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis has created big volatility in the stock prices that induces a restriction in the reflection of full information. We explore ten EU Member States (France, Germany, The United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, Spain), and the USA. The explored period is 03.03.2003 - 30.06.2016, as it includes the effects of the global financial crisis of 2008. Purpose of the article: To determine if there is a contagion effe
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Dissertations / Theses on the topic "Capital market model"

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Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-
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Pötzelberger, Klaus, and Leopold Sögner. "Sample autocorrelation learning in a capital market model." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/532/1/document.pdf.

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Adaptive agent models are supposed to result in the same limit behavior as models with perfectly rational agents. In this article we show that this claim cannot by accepted in general, even in a simple capital market model, where the agents apply sample autocorrelation learning to perform their forecasts. By applying this learning algorithm, the agents use sample means, the sample autocorrelation coefficient, and the sample variances of prices to predict the future prices, and to determine the demand for the risky asset. Therefore, even if the agents are not perfectly rational, we require that
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Fredholm, Johan, and Benjamin Taghavi-Awal. "Capital markets in developing countries : A model for capital market diagnostics, with a field study implementation in Georgia." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6430.

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<p>This thesis starts with a research overview of the relationship between financial system development, capital markets and economic growth. The general consensus among economists is that financial system development contributes to economic growth and that both banks and capital markets are important in that development. These findings justify the interest that aid agencies and international organisations show for assisting financial development in developing countries. The authors go on to create a model for Capital Market Diagnostics (CMD) that could be used by such organisations to evaluat
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Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jorda
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Zhao, Huimin, and 趙慧敏. "Two essays on asset pricing and options market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41508397.

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Zhao, Huimin. "Two essays on asset pricing and options market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41508397.

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Sufar, Saiful Bahri. "Risk factors in the UK stock market." Thesis, Loughborough University, 2000. https://dspace.lboro.ac.uk/2134/7346.

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This thesis examines risk factors in the UK Stock Market. This objective is achieved by testing the validity of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The models were tested using data for the period between 1972 to 1993. Test of the CAPM was conducted by examining the relationship between stocks returns and systematic risk as measured by beta. By regressing returns against estimates of beta, the results showed that for the overall period the relationship was negative and the estimated risk premium is smaller than the observed risk premium. The results i
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Pang, Chung-kit, and 彭仲傑. "Financial market and Hong Kong economy." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31265066.

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Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.
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Fung, James Cheuk Lun. "An agent-based model of the interbank market : reserve and capital adequacy requirements." Thesis, University of Leeds, 2014. http://etheses.whiterose.ac.uk/8242/.

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Books on the topic "Capital market model"

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Blake, David. A model of the capital market. City University Business School, 1985.

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David, Blake. A model of the capital market. City University Business School, 1985.

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Kemp, Malcolm H. D. Market consistency: Model calibration in imperfect markets. Wiley, 2009.

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Ahmed, Ayaz. Stock market interlinkages in emerging markets. Pakistan Institute of Development Economics, 1998.

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Indonesia. Peraturan pajak, pasar modal: Model : dokumen hukum. ELIPS, 1995.

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Brandt, Michael W. A no-arbitrage approach to range-based estimation of return covariances and correlations. National Bureau of Economic Research, 2003.

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Agarwalla, Sobhesh Kumar. Four factor model in Indian equities market. Indian Institute of Management, 2013.

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Benassi, Corrado. A competitive model of credit intermediation. European University Institute, 1990.

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Eliasson, Gunnar. The firm and financial markets in the Swedish micro-to-macro model: Theory, model, and verification. Industrial Institute for Economic and Social Research, 1985.

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Warfsmann, Jürgen. Das Capital Asset Pricing Model in Deutschland: Univariate und multivariate Tests für den Kapitalmarkt. Deutscher Universitäts Verlag, 1993.

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Book chapters on the topic "Capital market model"

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Bamberg, Günter. "The Hybrid Model and Related Approaches to Capital Market Equilibria." In Capital Market Equilibria. Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-70995-1_2.

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Schwartz, Eduardo S., and Michael J. Brennan. "Asset Pricing in a Small Economy: A Test of the Omitted Assets Model." In Capital Market Equilibria. Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-70995-1_6.

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Zeidan, Rodrigo. "Market Power and Working Capital Optimization." In The General Model of Working Capital Management. Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-3334-9_4.

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Yelghi, Aref, and Asef Yelghi. "Wave Net-TSRS Model for Time Series Prediction in Finance." In Computing Intelligence in Capital Market. Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-57708-6_2.

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Dasgupta, Asim K. "The Model." In Income Distribution, Market Imperfections and Capital Accumulation in a Developing Economy. Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-1633-3_3.

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McCabe, J. D. J. "Capital Equipment Purchasing: A Stochastic Model of Industrial Buying Behaviour." In Revolution in Marketing: Market Driving Changes. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-11761-4_75.

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Müller, Birgit Charlotte. "Capital Share Risk in International Asset Pricing." In Three Essays on Empirical Asset Pricing in International Equity Markets. Springer Fachmedien Wiesbaden, 2021. http://dx.doi.org/10.1007/978-3-658-35479-4_3.

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ZusammenfassungIn a seminal study, Lettau et al. (2019) demonstrate that a single macroeconomic factor can explain a wide range of equity and nonequity portfolio returns within the U.S. market. This factor, which is based on the growth in the capital share of aggregate income, is able to outperform, yet even subsume information in well-established factor models as for instance the Fama-French three factor model. The aim of this paper is to study whether the explanatory power of this factor maintains across international equity markets.
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Witkowska, Dorota. "Is the Three-Factor Better Than Single-Factor Capital Asset Pricing Model? Case of Polish Capital Market." In Effective Investments on Capital Markets. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21274-2_16.

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Mukherjee, Jeet, and Arindam Das. "Application of Constrained Markowitz Optimisation Model in Indian Capital Market." In Perspectives in Finance and Digital Transformations in Business. Routledge India, 2024. http://dx.doi.org/10.4324/9781003470229-6.

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Lin, Keke. "Application of Mean-Variance Model in the U.S. Capital Market." In Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-052-7_86.

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Conference papers on the topic "Capital market model"

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Saeed, Haris, Aidong Yang, and Wei Huang. "A Stochastic Techno-Economic Assessment of Emerging Artificial Photosynthetic Bio-Electrochemical Systems for CO2 Conversion." In The 35th European Symposium on Computer Aided Process Engineering. PSE Press, 2025. https://doi.org/10.69997/sct.186579.

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Artificial Photosynthetic Bio-Electrochemical Systems (AP-BES) offer a promising approach for converting CO2 to valuable bioproducts, addressing carbon mitigation and sustainable production. This study employs a stochastic techno-economic assessment (TEA) to estimate the viability of rhodopsin driven AP-BES, from carbon capture to product purification. Unlike traditional deterministic TEAs, this approach uses Monte Carlo simulations to model uncertainties in key technoeconomic parameters, including energy consumption, CO2 conversion efficiency, and bioproduct market prices. The analysis genera
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Zhujun, Xu, Yin Sijia, Shen Jia, and Zheng Xingchen. "A Chaos Forecast Research on Capital Market Model." In 2008 International Conference on Computer Science and Software Engineering. IEEE, 2008. http://dx.doi.org/10.1109/csse.2008.1275.

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Xie Bo. "Capital market imperfections, income inequality and economic growth: A model approach." In 2016 13th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2016. http://dx.doi.org/10.1109/icsssm.2016.7538591.

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Milijić, Ana, and Vanja Vukojević. "INTELLECTUAL CAPITAL PERFORMANCE REPORTING MODELS." In 6th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eraz.2020.279.

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For a knowledge-based economy, the basic drivers of economic growth and development are the knowledge, innovation and specific skills of individuals whose „incorporation” into a product/service makes them attractive to customers in the market according to the needs of the 21st century. Thus, in the era of the knowledge economy, individuals with their knowledge, specific abilities and skills represent the basis for creating and maintaining a competitive advantage in the market. However, the traditional financial reporting model cannot fully meet the information requirements of users of 21st cen
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Jaki, Erika, and Endre Mihaly Molnar. "Model Of The State And EU Involvement In The Venture Capital Market." In 31st Conference on Modelling and Simulation. ECMS, 2017. http://dx.doi.org/10.7148/2017-0120.

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Li, Qian, Kunze Liu, Zehao Ma, and Wang Zhu. "An analysis in Chinese stock market using the capital asset pricing model." In International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), edited by Yuanchang Zhong. SPIE, 2022. http://dx.doi.org/10.1117/12.2646598.

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Chen, Zhiliang. "The Applicability of Classic Capital Asset Pricing Model in Chinese Stock Market." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.201.

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Sudiyana, Sudiyana. "Legal Enforcement Model in Indonesia Capital Market Disputes to Make Substantive Justice." In Proceedings of the International Conference on Banking, Accounting, Management, and Economics (ICOBAME 2018). Atlantis Press, 2019. http://dx.doi.org/10.2991/icobame-18.2019.48.

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Dias, Rui, Hortense Santos, Paulo Alexandre, Paula Heliodoro, and Cristina Vasco. "RANDOM WALKS AND MARKET EFFICIENCY TESTS: EVIDENCE FOR US AND AFRICAN CAPITAL MARKETS." In 5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eman.s.p.2021.17.

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The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. This economic conflict resulted in a sharp drop in the price of oil in 2020, as well as crashes in international markets. In the light of these events, our aim was to test the efficient market hypothesis, in its weak form, in the stock markets of Botswana (BSE), Egypt (EGX 100), Kenya (NSE 20), Moroccan All Shares (MASI), Tunisia (Tunindex), and the MARKET of the USA (DOWJONES INDUSTRIALS), in the period
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Noneva-Zlatkova, Yordanka, and Mariya Paskaleva. "Cryptocurrencies as a Risk Management Tool – Legal and Economic Perspectives." In 7th International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2023. http://dx.doi.org/10.31410/itema.s.p.2023.99.

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The development of law is faced with many challenges, including the creation and testing of new information and communication technologies. At the same time, the law must quickly react with a set of legitimate means of reg­ulation to guarantee legal certainty in relations. Cryptocurrencies are a manifes­tation product of rapidly developing technology entering civil turnover at an in­creasingly rapid pace. The paper aims to examine the various legal aspects of cryptocurrencies in the EU and to reveal the relationship between the stock mar­ket, investors’ decisions, and cryptocurrency. It clarif
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Reports on the topic "Capital market model"

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Pearce, Jeremy, and Liangjie Wu. Brand Reallocation and Market Concentration. Federal Reserve Bank of New York, 2024. http://dx.doi.org/10.59576/sr.1116.

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We study the interaction of customer capital and productivity through brand reallocation across firms. We develop a firm dynamics model with brands as transferable customer capital, heterogeneous firm productivity, and variable markups. We study the matching process between transferable brand capital and core productivity, which can be inefficient with significant welfare implications. We link USPTO trademark data with Nielsen sales data to study the prevalence of brand reallocation and the response of sales and prices to reallocation. Quantitatively, brand reallocation reduces welfare. Optima
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Abad, Jorge, David Martínez-Miera, and Javier Suárez. A macroeconomic model of banks’ systemic risk taking. Banco de España, 2024. http://dx.doi.org/10.53479/37914.

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We study banks’ systemic risk-taking decisions in a dynamic general equilibrium model, highlighting the macroprudential role of bank capital requirements. Banks decide on their unobservable exposure to systemic shocks by balancing risk-shifting gains against the value of preserving their capital after such shocks. Capital requirements reduce systemic risk taking, but at the cost of reducing credit and output in calm times, generating welfare trade-offs. We find that systemic risk taking is maximal after long periods of calm and may worsen if capital requirements are countercyclically adjusted.
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Chen, Been-Lon, Hung-Ju Chen, and Ping Wang. Long-Run Tax Incidence in a Human Capital-based Endogenous Growth Model with Labor-Market Frictions. National Bureau of Economic Research, 2019. http://dx.doi.org/10.3386/w25783.

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Juarez, Leticia. Buyer Market Power and Exchange Rate Pass-through. Inter-American Development Bank, 2025. https://doi.org/10.18235/0013557.

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AuthorJuarez, LeticiaDate issuedJun 2025Read: English (0 downloads) DOIhttp://dx.doi.org/10.18235/0013557SubjectSmall Business; Export; Exchange Rate; Competitiveness; Export Activity; Import ; Export MarketJEL codeD43 - Oligopoly and Other Forms of Market Imperfection; E31 - Price Level • Inflation • Deflation; F31 - Foreign Exchange; F32 - Current Account Adjustment • Short-Term Capital MovementsCountryColombiaCategoryWorking PapersI derive a model-based equation relating pass-through to buyer size and estimate it on the micro transaction level data for Colombia. I find that after an exchang
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Bardoscia, Marco, Adrian Carro, Marc Hinterschweiger, et al. The impact of prudential regulations on the UK housing market and economy: insights from an agent-based model. Banco de España, 2025. https://doi.org/10.53479/38913.

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We develop a macroeconomic agent-based model to study the joint impact of borrower and lender-based prudential policies on the housing and credit markets and the economy more widely. We perform three experiments: (i) an increase of total capital requirements; (ii) the introduction of a loan-to-income (LTI) cap on mortgages to owner-occupiers; and (iii) the introduction of both experiments at the same time. Our results suggest that tightening capital requirements leads to a sharp decrease in commercial and mortgage lending and housing transactions. When the LTI cap is in place, house prices fal
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Andreasen, Eugenia, and Victoria Nuguer. Capital Flow Management Measures and Dollarization. Inter-American Development Bank, 2020. http://dx.doi.org/10.18235/0002905.

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This paper studies from an empirical and theoretical perspective the systemic and bank-level effects of imposing reserve requirements (RR) in foreign currency in an economy with a heavily dollarized financial system. The paper empirically characterizes banks responses to the RR carried out by the Peruvian Central Bank since 2008 with the objective of stabilizing the financial market and meeting its policy targets. The results suggest that the RR is effective in reducing the overall level of credit in the economy and that banks response in terms of credit and deposits is very heterogeneous depe
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Melo-Velandia, Luis Fernando, José Vicente Romero, and Diego Niño-Garavito. Analyzing Exchange Rate Dynamics within the Global Financial Cycle: A DCC-Copula approach. Banco de la República, 2025. https://doi.org/10.32468/be.1320.

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The Global Financial Cycle (GFC), defined as the fluctuations in international capital flows, asset prices, and risk appetite, has garnered significant attention from the recent international finance literature, market practitioners, and policymakers. This study employs a Dynamic Conditional Correlation (DCC) Copula model to examine the interaction between exchange rates for a group of seven developed economies and seventeen emerging market economies. Using these results and employing quantile panel data methods, we assess how the time-varying correlations of exchange rates behave in relation
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8

Malcolm, Gerard. Modeling Country Risk and Capital Flows in GTAP. GTAP Technical Paper, 2000. http://dx.doi.org/10.21642/gtap.tp13.

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This paper describes how the standard GTAP framework may be used to assess the short-run impacts of changes in international capital market conditions. It describes a technique that can be used to examine the short-run effects of changes in country risk. In the standard GTAP model investment demand is spread across regions according to a simple rate-of-return-equalizing rule. By making the risk premium in this rule explicit, we are able to examine the effects of changes in these risk premium. This work was originally developed as part of the course material for the South African GTAP short cou
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9

Heresi, Rodrigo. Reallocation and Productivity during Commodity Cycles. Inter-American Development Bank, 2021. http://dx.doi.org/10.18235/0003203.

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I study the firm-level dynamic response of a commodity-exporting economy to global cycles in commodity prices. To do so, I develop a heterogeneous-firms model that endogenizes declines in aggregate productivity through reallocation towards less productive firms. Within a given sector, commodity booms reallocate market share away from exporters because of currency appreciation and away from capital-intensive firms because of the increase in capital cost. I provide empirical evidence for these channels using microdata for Chile, the worlds largest copper producer. When fed with the commodity sup
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10

Tirapat, Sunti. Does insider trading provide information in Thai market? Chulalongkorn University, 2013. https://doi.org/10.58837/chula.res.2013.10.

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There is much debate in the literatures whether insider trading is driven by opportunistic or liquidity trading. The study preliminary examines the information provided by insider trading in Thai capital market using the probability of information-based trading (PIN). It focuses on extending the traditional PIN model to examine the level of information asymmetry by various types of investors in the market (local retail, local institution, foreign, and broker investors). Using the data of insider trading from the 59-2 form provided by the Thai SEC during 2002 to 2008, the preliminary analysis f
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